事件研究法：母數、無母數與拔靴複製法之比較

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范懷文(Huan-Wei Fai ) 查詢紙本館藏

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財務管理研究所

論文名稱

事件研究法：母數、無母數與拔靴複製法之比較

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★ 因子或特徵:全球觀點	★ 特徵與因子：日本證據

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摘要(中)

傳統的事件研究法假設事件期的報酬服從常態分配，但此一假設不甚合理，所以本論文的目的是利用母數方法、無母數方法及拔靴複製法，利用模擬的方式，以日本股市日資料為抽樣母體，公司家數為25及50家，同時進行雙尾、左尾及右尾的檢定，並以人為的方式將異常報酬率引入事件期間中，進而比較各種檢定方法的檢定績效及檢定力。
本研究之結果顯示，使用日本股市資料進行事件研究法時，在無事件日變異數增大之下，母數方法在公司家數為50家時，檢定績效比家數為25家時來得較佳，無母數方法則不受公司家數影響。拔靴複製法除了檢定力較傳統母數方法好之外，其檢定績效沒有較佳。而符號檢定的檢定分配有左偏的現象；橫斷面獨立法和原始相關調整法則有右偏的現象。在事件日變異數增大時，模擬結果顯示，一般化符號檢定的檢定績效較佳，且母數方法在經過事件日變異數增大調整之後，其檢定績效明顯有改善。拔靴複製法的檢定力同樣都比傳統母數方法高出一些。
綜合以上分析，拔靴複製法在事件研究法上，沒有明顯的貢獻性。而日本股市資料在事件研究法上的檢定可使用傳統母數方法經過變異數增大調整和一般化符號檢定兩種檢定方法。

關鍵字(中)

★ 事件研究法
★ 拔靴複製法
★ 無母數方法

關鍵字(英)

論文目次

第一章緒論1
第一節研究動機及目的1
第二節論文架構2
第二章文獻回顧3
第一節事件研究法之實證步驟4
第二節拔靴事件研究法11
第三節其他相關課題探討14
第四節模擬分析與事件研究法16
第三章實驗設計17
第一節資料來源18
第二節樣本建構18
第三節估計異常報酬率19
第四節檢定方法19
第四章模擬結果分析26
第一節日資料特性26
第二節檢定力分析28
第五章結論40
參考文獻42

參考文獻

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指導教授

周賓凰(Pin-Huang Chou)

審核日期

2001-6-20

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